Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 8 8
Score -5.72 -2.21 -1.69
Market Cap (Millions USD) 1614.7 1551.23 1828.18
Predicted Beta 0.25 0.25 0.26
Idiosyncratic Volatility 1.03 0.96 1.1

Annualized return and volatility

EWH
Annualized Return 0.0549
Annualized Std Dev 0.2571
Annualized Sharpe (Rf=0%) 0.2135

Row

Daily Return Statistics

EWH
Observations 5112.0000
NAs 2.0000
Minimum -0.1230
Quartile 1 -0.0070
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0080
Maximum 0.1699
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0162
Skewness 0.3002
Kurtosis 8.9661

Downside Risk

EWH
Semi Deviation 0.0114
Gain Deviation 0.0121
Loss Deviation 0.0119
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.6358
Historical VaR (95%) -0.0253
Historical ES (95%) -0.0377
Modified VaR (95%) -0.0220
Modified ES (95%) -0.0220
From Trough To Depth Length To Trough Recovery
2007-10-30 2008-11-20 2013-01-24 -0.6358 1341 275 1066
2000-01-04 2003-04-25 2005-07-14 -0.5079 1413 845 568
2015-05-26 2016-02-09 2017-05-10 -0.2954 502 183 319
2018-01-29 2018-10-29 2019-03-29 -0.1973 299 194 105
2019-04-08 2019-08-14 NA -0.1696 186 91 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWH
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 1.4 -1.4 0.0 1.5 4.3 0.0 -1.9 0.0 0.0 0.5 4.8 0.0 9.4
2001 1.0 -2.5 0.0 1.0 0.1 0.0 1.3 0.0 -3.7 2.0 0.0 0.0 -0.9
2002 -2.5 1.7 0.0 0.5 0.0 -2.0 -1.6 0.0 4.9 1.2 0.0 0.0 2.0
2003 0.0 0.0 0.4 0.3 0.0 1.2 -0.5 0.0 3.0 0.0 2.5 0.0 7.0
2004 0.0 0.3 0.4 0.0 -1.6 -1.0 0.0 1.2 1.6 -0.6 1.8 0.0 2.0
2005 0.0 0.8 -0.6 0.0 0.8 -0.2 0.8 1.4 0.0 1.0 1.2 0.0 5.3
2006 -0.6 1.6 0.0 -0.5 0.7 0.0 -0.9 1.2 0.0 0.2 -1.4 0.0 0.3
2007 1.9 -1.5 0.0 0.4 -0.1 0.0 -0.7 0.0 1.9 -4.1 0.0 0.0 -2.3
2008 0.5 0.0 4.2 1.8 0.0 -0.6 0.2 0.0 1.1 0.0 -8.1 0.0 -1.3
2009 0.0 0.0 2.1 0.9 2.9 0.7 0.0 -1.5 -2.7 0.0 2.0 0.0 4.3
2010 2.6 1.1 1.7 0.0 -1.5 0.2 0.0 2.3 1.0 1.7 2.9 0.0 12.5
2011 1.4 -0.4 0.8 0.0 -1.1 0.9 0.6 -0.8 0.0 1.0 -0.2 0.0 2.1
2012 0.7 0.3 0.0 0.9 -1.9 0.0 -0.1 0.0 0.8 2.2 0.0 0.0 2.7
2013 0.2 0.0 -0.9 -1.1 0.0 -0.3 2.0 0.0 1.0 0.9 0.0 0.0 1.8
2014 0.0 0.0 2.4 0.3 0.0 0.3 -0.1 0.0 -1.3 0.0 -2.5 0.0 -1.0
2015 0.0 0.0 1.5 1.0 0.0 0.1 0.0 -2.9 0.5 0.0 1.3 0.0 1.4
2016 -0.8 1.9 -0.7 0.0 -0.3 0.8 -0.2 1.2 0.0 0.4 -0.9 0.0 1.3
2017 0.3 1.5 0.0 0.2 1.1 0.0 0.9 0.6 0.0 1.0 -0.4 0.0 5.3
2018 -0.9 0.1 0.0 0.0 0.0 0.0 -1.7 0.0 0.5 2.9 0.0 0.0 0.9
2019 -1.3 0.2 1.7 -0.4 0.0 1.0 -2.6 0.0 -1.3 2.2 0.0 0.1 -0.5

Row

Rolling Performance Chart

Snail Trail Chart